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Australian Coal Company Risk Factors: Coal and Oil Prices

Author

Listed:
  • M. Zahid Hasan
  • Ronald A. Ratti

Abstract

Examination of panel data on listed coal companies on the Australian exchange over January 1999 to February 2010 suggests that market return, interest rate premium, foreign exchange rate risk, and coal price returns are statistically significant in determining the excess return on coal companies’ stock. Coal price return and oil price return increases have statistically significant positive effects on coal company stock returns. A one per cent rise in coal price raises coal company returns by between 0.15% and 0.17%. A one per cent rise in oil price raises coal company returns by between 0.06% and 0.08%. The sensitivity of stock prices to oil price shocks suggest a role for investment in stocks that rise when energy prices increase in a well balanced portfolio and in pursuing profitable investment strategies.

Suggested Citation

  • M. Zahid Hasan & Ronald A. Ratti, 2014. "Australian Coal Company Risk Factors: Coal and Oil Prices," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 8(1), pages 57-67.
    • Handle: RePEc:ibf:ijbfre:v:8:y:2014:i:1:p:57-67
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    References listed on IDEAS

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    Cited by:

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    4. Luo Wang & Bin Li & Rakesh Gupta & Jen-Je Su & Benjamin Liu, 2017. "Return Predictability in Australian Managed Funds," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 16(1), pages 1-19, June.

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    Keywords

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    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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